Scen-O-Con

A Scenario Optimization Toolbox for Data-Driven Convex Programming

Linear Program

\(\displaystyle\min_{x} \quad c^\top x\)

subject to:

\(A(\delta_i)\, x+b(\delta_i) \leq 0, \quad i = 1, \ldots, N\)

\(Gx+h \leq 0\)

Quadratic Program

\(\displaystyle\min_{x} \quad c^\top x + \frac{1}{2}x^\top Qx\)

subject to:

\(A(\delta_i)\, x+b(\delta_i) \leq 0, \quad i = 1, \ldots, N\)

\(Gx+h \leq 0\)

Semidefinite Program

\(\displaystyle\min_{x} \quad c^\top x + \frac{1}{2}x^\top Qx\)

subject to:

\(F_0(\delta_i) + \displaystyle\sum_{j=1}^{d}x_jF_j(\delta_i) \preceq 0, \quad i = 1, \ldots, N\)

\(E_0 + \displaystyle\sum_{j=1}^{d}x_jE_j \preceq 0\)

Scenarios \((\delta_1, \delta_2, \ldots)\):

Supported: CSV, TXT, JSON, NPY, MAT, Excel, Parquet
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